Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo

By Martin Burda and Louis Belisle

Year of publication:	April 29, 2019
Authors:	Burda, Martin ; Belisle, Louis
Publisher:	Toronto : University of Toronto, Department of Economics
Subject:	Dynamic conditional volatility \| varying correlation model \| Markov Chain Monte Carlo \| ARCH-Modell \| ARCH model \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Volatilität \| Volatility \| Markov-Kette \| Markov chain \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Multivariate Verteilung \| Multivariate distribution \| Bayes-Statistik \| Bayesian inference

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